Numerix (www.numerix.com),
the leading provider of cross-asset analytics for derivatives valuations
and risk management, today announced key features and functionality now
available in Numerix CrossAsset, its flagship analytics framework for
structuring, pricing and risk managing any derivative.

“The importance of financial and risk management capabilities in
portfolio level analytics has never been greater, especially when
considering the impact of collateral optimization on CVA, dynamic
hedging techniques and managing the regulatory cost of capital,” said
Steven R. O’Hanlon, President & COO of Numerix.

Tom Davis, VP of Client Solutions at Numerix adds: “Daily risk
assessment across a portfolio needs models that not only preserve the
distribution of prices, but also are efficient to compute. In CrossAsset
10.2 this was our focus – empowering clients with the applicable
coverage and advanced functionality needed to respond quickly and
efficiently to the evolving regulatory and market environment.”

Key Numerix CrossAsset 10.2 functionality includes:

Innovative Risk Techniques to accelerate the computation of
exposures and CVA (Credit Value Adjustment)/PFE (Potential Future
Exposure) for large portfolios of Interest Rate swaps, FX Forwards and
Cross-Currency swaps. By aggregating their cashflows to represent the
portfolio as a "superswap" this approach, which is based on aggregating
cashflows for linear instruments is used to make the calculation faster.

CIO, CTO & Developer Resources

New Performance Enhancements to improve CVA calculation time for
portfolios of credit derivatives with the addition of the CIR Model
(Cox–Ingersoll–Ross) for credit pricing and CDS valuation. In addition,
calibration of the FX Stochastic Local Volatility model to FX barrier
options was enabled as well as Backward Monte Carlo pricing of
continuous barriers. This innovation greatly reduces the time taken to
price barrier options.

Improved Functionality to manage the complexities of pricing and
structuring OTC derivatives. PaymentStream Builder allows users to price
any deal streamlining the creation of 80% of the most commonly traded
derivatives, reserving the power of scripting for bespoke structured
products. Users can enter the conditions of their term sheet and price
any bespoke instrument simply and directly, including risky bonds and
credit default swaps.

About Numerix

Numerix is the award winning, leading independent analytics institution
providing cross-asset solutions for structuring, pre-trade price
discovery, trade capture, valuation and portfolio management of
derivatives and structured products. Since its inception in 1996, over
700 clients and 75 partners across more than 25 countries have come to
rely on Numerix analytics for speed and accuracy in valuing and managing
the most sophisticated financial instruments. With offices in New York,
London, Paris, Frankfurt, Milan, Stockholm, Tokyo, Hong Kong, Singapore,
Dubai, South Korea, India and Australia, Numerix brings together
unparalleled expertise across all asset classes and engineering
disciplines. For more information please visit www.numerix.com.

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